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Research outside affiliated...
3
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Chen Peimin
2
LANGRENÉ Nicolas
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2024
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HJB equation
3
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Backward stochastic differe...
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The optimal investment problem with inflation and liquidity risk
Journal article
Journal of Computational and Applied Mathematics,2024, volume: 438
Authors:
Chen, Xinyue
;
Chen, Peimin
;
He, Yong
;
Wang, Xiaoyang
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View/Download:4/0
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Submit date:2024/03/12
HJB equation
Inflation
Labor supply flexibility
Liquidity risk
Optimal investment and consumption
An analytical solution for the robust investment-reinsurance strategy with general utilities
Journal article
North American Journal of Economics and Finance,2022, volume: 63
Authors:
He, Yong
;
Zhou, Xia
;
Chen, Peimin
;
Wang, Xiaoyang
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View/Download:4/0
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Submit date:2025/03/25
Ambiguity
General utility function
Hamilton–Jacobi–Bellman (HJB) equation
Homotopy analysis method
Taylor series expansion
Stochastic optimal control on dividend policies with bankruptcy
Journal article
Optimization,2019, volume: 68, issue: 12, pages: 2313-2333
Authors:
Chen, Peimin
;
Luo, Xiankang
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View/Download:3/0
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Submit date:2025/03/25
bailout
HJB equation
Optimal dividend
proportional reinsurance
terminal value
A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization
Journal article
Monte Carlo Methods and Applications,2014, volume: 20, issue: 2, pages: 145-165
Authors:
Kharroubi, Idris
;
Langrené, Nicolas
;
Pham, Huyên
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Submit date:2022/08/29
Backward stochastic differential equations
control randomization
empirical regressions
HJB equation
Monte Carlo
uncertain volatility